Hello Vijay,
Currently SQL Azure don't support the usage of CLR assemblies; you even don't have any file access to copy the assembly to the server to import it there.
It depends on the requirement you have. Most things can be done in plain T-SQL, other could be done with a web service as worker role in Windows Azure.
Olaf Helper
* cogito ergo sum * errare humanum est * quote erat demonstrandum *
Wenn ich denke, ist das ein Fehler und das beweise ich täglich
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